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A Time Series Model for the Romanian Stock Market

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  • Eleftherios Thalassinos
  • Diana-Mihaela Pociovalisteanu

Abstract

The purpose of this study is to investigate the performance of the Romanian stock market using daily data for the period 1997-2007. During this period the European Union finalized many of its operational issues and EMU was put into effect. Additionally globalization brought increased attention to stock markets throughout the world, while the free trade and the technological financial innovations have changed the world stock market considerably. To test the impact in the Romanian stock market from these developments a number of different time series models are proposed in an attempt to clarify whether or not the Romanian stock market has been adjusted accordingly and to forecast the series. The proposed model is an ARIMA (p,d,q) process fitting the data very well. The results indicate that the Romanian stock market went through a significant structural change during the study period.

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File URL: http://www.ersj.eu/repec/ers/papers/07_34_p6.pdf
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Bibliographic Info

Article provided by European Research Studies Journal in its journal European Research Studies Journal.

Volume (Year): X (2007)
Issue (Month): 3-4 ()
Pages: 57-72

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Handle: RePEc:ers:journl:v:x:y:2007:i:3-4:p:57-72

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Related research

Keywords: Time series methodology; forecasting stock markets; stationarity tests;

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  1. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 22(2), pages 261-287, April.
  2. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, Elsevier, vol. 17(1), pages 193-208, February.
  3. Corhay, A. & Tourani Rad, A. & Urbain, J. -P., 1993. "Common stochastic trends in European stock markets," Economics Letters, Elsevier, Elsevier, vol. 42(4), pages 385-390.
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Cited by:
  1. Athanasios L. Athanasenas & Constantinos Katrakilidis, 2008. "An Eclectic Causality Model for Income Growth: Evidence from Greece," European Research Studies Journal, European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 31-46.
  2. Eleftherios J. Thalassinos & Evagelos D. Politis, 2011. "International Stock Markets: A Co-integration Analysis," European Research Studies Journal, European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 113-130.

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